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DERIVATIVES (Tables)
3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value and Notional Value of Derivative Assets and Liabilities
The fair value and notional value of the derivative assets and liabilities were as follows:
As of March 31, 2024Notional
Value
Derivative
Assets
Derivative
Liabilities
Asset Management and Strategic Holdings
Foreign Exchange Contracts and Options$17,908,773 $294,511 $321,024 
Other Derivatives824,134 4,258 17 
Total Asset Management and Strategic Holdings$18,732,907 $298,769 $321,041 
Insurance
Derivatives designated as hedge accounting instruments:
Interest rate contracts$8,770,500 $— $421,859 
Foreign currency contracts2,199,012 35,573 35,332 
Total derivatives designated as hedge accounting instruments$10,969,512 $35,573 $457,191 
Derivatives not designated as hedge accounting instruments:
Interest rate contracts$28,140,901 $182,268 $303,621 
Equity market contracts35,709,220 1,708,083 199,924 
Foreign currency contracts1,379,435 75,026 44,523 
Other contracts60,996 957 514 
Total derivatives not designated as hedge accounting instruments$65,290,552 $1,966,334 $548,582 
Impact of netting(2)
— (1,973,523)(851,062)
Total Insurance(1)
$76,260,064 $28,384 $154,711 
Fair value included within total assets and liabilities$94,992,971 $327,153 $475,752 
(1)Excludes embedded derivatives. The fair value of these embedded derivatives related to assets was $114.0 million and the fair value of these embedded derivatives related to liabilities was $2.0 billion as of March 31, 2024.
(2)Represents netting of derivative exposures covered by qualifying master netting agreements.
As of December 31, 2023
Notional
Value
Derivative
Assets
Derivative
Liabilities
Asset Management and Strategic Holdings
Foreign Exchange Contracts and Options$15,771,463 $264,621 $441,608 
Other Derivatives374,604 4,792 2,382 
Total Asset Management and Strategic Holdings$16,146,067 $269,413 $443,990 
Insurance
Derivatives designated as hedge accounting instruments:
Interest rate contracts$7,320,500 $— $372,212 
Foreign currency contracts2,302,335 24,278 73,478 
Total derivatives designated as hedge accounting instruments$9,622,835 $24,278 $445,690 
Derivatives not designated as hedge accounting instruments:
Interest rate contracts$22,259,423 $284,067 $306,244 
Equity market contracts35,203,206 1,480,875 248,127 
Foreign currency contracts1,331,345 65,803 56,616 
Other contracts60,000 — 600 
Total derivatives not designated as hedge accounting instruments$58,853,974 $1,830,745 $611,587 
Impact of netting(2)
— (1,809,329)(911,080)
Total Insurance(1)
$68,476,809 $45,694 $146,197 
Fair value included within total assets and liabilities$84,622,876 $315,107 $590,187 
(1)Excludes embedded derivatives. The fair value of these embedded derivatives related to assets was $88.7 million and the fair value of these embedded derivatives related to liabilities was $1.6 billion as of December 31, 2023.
(2)Represents netting of derivative exposures covered by qualifying master netting agreements.
Schedule of Derivative Liabilities at Fair Value
The following table presents the financial statement classification, carrying amount and cumulative fair value hedging adjustments for qualifying hedged assets and liabilities:
As of March 31, 2024As of December 31, 2023
Carrying amount of hedged assets/(liabilities)
Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged assets/(liabilities)(1)        
Carrying amount of hedged assets/(liabilities)
Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged assets/(liabilities)(1)        
AFS fixed maturity securities(2)
$2,168,807 $(45,116)$2,324,364 $80,210 
Debt(2,307,233)(202,919)(1,608,294)(165,817)
Policy liabilities(5,058,716)(272,648)(4,380,048)(255,308)
(1)Includes $23.4 million and $27.8 million of hedging adjustments on discontinued hedging relationships as of March 31, 2024 and December 31, 2023, respectively.
(2)Carrying amount is the amortized cost for AFS debt securities.
Derivative Gains and Losses
The following table presents the financial statement classification and amount of gains (losses) recognized on derivative instruments and related hedged items, where applicable:
Three Months Ended March 31, 2024
Net Gains (Losses) from Investment ActivitiesNet investment-related gains (losses)Net investment incomeNet policy benefits and claimsInterest expenseChange in AOCI
Derivatives designated as hedge accounting instruments:
Fair value hedges
Gains (losses) on derivatives designated as hedge instruments:
Interest rate contracts$— $— $— $(63,695)$(52,695)$— 
Foreign currency contracts— 49,541 982 — — (4,690)
Total gains (losses) on derivatives designated as hedge instruments$— $49,541 $982 $(63,695)$(52,695)$(4,690)
Gains (losses) on hedged items:
Interest rate contracts$— $— $— $63,695 $52,695 $— 
Foreign currency contracts— (45,116)— — — — 
Total gains (losses) on hedged items$— $(45,116)$— $63,695 $52,695 $— 
Amortization for gains (losses) excluded from assessment of effectiveness:
Foreign currency contracts$— $6,381 $— $— $— $— 
Total amortization for gains (losses) excluded from assessment of effectiveness— 6,381 — — — — 
Total gains (losses) on fair value hedges, net of hedged items$— $10,806 $982 $— $— $(4,690)
Cash flow hedges
Interest rate contracts$— $— $(845)$— $— $(31,288)
Total gains (losses) on cash flow hedges$— $— $(845)$— $— $(31,288)
Derivatives not designated as hedge accounting instruments:
Asset Management and Strategic Holdings
Foreign Exchange Contracts and Options$183,342 $— $— $— $— $— 
Other Derivatives2,450 — — — — — 
Total included in Net Gains (Losses) from Investment Activities$185,792 $— $— $— $— $— 
Insurance
Embedded derivatives - funds withheld receivable$— $25,330 $— $— $— $— 
Embedded derivatives - funds withheld payable— 95,441 — — — — 
Equity index options— 257,103 — — — — 
Equity future contracts— (63,516)— — — — 
Interest rate contracts— (249,295)— — — — 
Foreign exchange and other derivative contracts— 25,099 — — — — 
Total gains (losses) on derivatives not designated as hedge accounting instruments from Insurance Activities$— $90,162 $— $— $— $— 
Total$185,792 $100,968 $137 $— $— $(35,978)
Three Months Ended March 31, 2023
Net Gains (Losses) from Investment ActivitiesNet investment-related gains (losses)Net investment incomeNet policy benefits and claimsInterest expenseChange in AOCI
Derivatives designated as hedge accounting instruments:
Fair value hedges
Gains (losses) on derivatives designated as hedge instruments:
Interest rate contracts$— $— $— $34,557 $20,104 $— 
Foreign currency contracts— (35,388)— — — 9,280 
Total gains (losses) on derivatives designated as hedge instruments$— $(35,388)$— $34,557 $20,104 $9,280 
Gains (losses) on hedged items:
Interest rate contracts$— $— $— $(34,557)$(20,104)$— 
Foreign currency contracts— 29,624 — — — — 
Total gains (losses) on hedged items$— $29,624 $— $(34,557)$(20,104)$— 
Amortization for gains (losses) excluded from assessment of effectiveness:
Foreign currency contracts$— $6,826 $— $— $— $— 
Total amortization for gains (losses) excluded from assessment of effectiveness$— $6,826 $— $— $— $— 
Total gains (losses) on fair value hedges, net of hedged items$— $1,062 $— $— $— $9,280 
Cash flow hedges
Interest rate contracts$— $(268)$— $— $— $57,920 
Total gains (losses) on cash flow hedges$— $(268)$— $— $— $57,920 
Derivatives not designated as hedge accounting instruments:
Asset Management and Strategic Holdings
Foreign Exchange Contracts and Options$(22,366)$— $— $— $— $— 
Other Derivatives12,208 — — — — — 
Total included in Net Gains (Losses) from Investment Activities$(10,158)$— $— $— $— $— 
Insurance
Embedded derivatives - funds withheld receivable$— $(30,767)$— $— $— $— 
Embedded derivatives - funds withheld payable— (430,235)— — — — 
Equity index options— 83,887 — — — — 
Equity future contracts— (40,825)— — — — 
Interest rate and foreign exchange contracts— 68,996 — — — — 
Other contracts— (75)— — — — 
Total gains (losses) on derivatives not qualifying as hedge accounting instruments from Insurance Activities$— $(349,019)$— $— $— $— 
Total$(10,158)$(348,225)$— $— $— $67,200 
Offsetting Assets
The amount of Global Atlantic's net derivative assets and liabilities after consideration of collateral received or pledged were as follows:
As of March 31, 2024Gross amount recognized
Gross amounts offset in the statements of financial position(1)
Net amounts presented in the statements of financial conditionCollateral (received) / pledgedNet amount after collateral
Derivative assets (excluding embedded derivatives)$2,001,907 $(1,973,523)$28,384 $(16,333)$12,051 
Derivative liabilities (excluding embedded derivatives)$1,005,773 $(851,062)$154,711 $198,464 $(43,753)
(1)Represents netting of derivative exposures covered by qualifying master netting agreements.
As of December 31, 2023Gross amount recognized
Gross amounts offset in the statements of financial position(1)
Net amounts presented in the statements of financial conditionCollateral (received) / pledgedNet amount after collateral
Derivative assets (excluding embedded derivatives)$1,855,023 $(1,809,329)$45,694 $(45,095)$599 
Derivative liabilities (excluding embedded derivatives)$1,057,277 $(911,080)$146,197 $167,973 $(21,776)
(1)Represents netting of derivative exposures covered by qualifying master netting agreements.
Offsetting Liabilities
The amount of Global Atlantic's net derivative assets and liabilities after consideration of collateral received or pledged were as follows:
As of March 31, 2024Gross amount recognized
Gross amounts offset in the statements of financial position(1)
Net amounts presented in the statements of financial conditionCollateral (received) / pledgedNet amount after collateral
Derivative assets (excluding embedded derivatives)$2,001,907 $(1,973,523)$28,384 $(16,333)$12,051 
Derivative liabilities (excluding embedded derivatives)$1,005,773 $(851,062)$154,711 $198,464 $(43,753)
(1)Represents netting of derivative exposures covered by qualifying master netting agreements.
As of December 31, 2023Gross amount recognized
Gross amounts offset in the statements of financial position(1)
Net amounts presented in the statements of financial conditionCollateral (received) / pledgedNet amount after collateral
Derivative assets (excluding embedded derivatives)$1,855,023 $(1,809,329)$45,694 $(45,095)$599 
Derivative liabilities (excluding embedded derivatives)$1,057,277 $(911,080)$146,197 $167,973 $(21,776)
(1)Represents netting of derivative exposures covered by qualifying master netting agreements.